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EURO STOXX 50 Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	128.2107	5.52***
α ARCH Response to squared shocks	0.1721	66.18***
β GARCH Volatility persistence	0.9960	1,520.62***
ν DF Student-t tail thickness	2.9192	62.12***

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NX Filtration N.V. GAS-GARCH Student T Volatility Analysis

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